Analyst/Manager - Independent Model Validation - BFS

Independent Model Validation - Analyst and Manager

About Model Risk Management team:

Model Risk Management (MRM) team is responsible for end-to-end model risk management across the Group. The team assesses and helps mitigate model risk of complex models used in the context of risk measurement, valuation, capital and provisions calculation, and more broadly for decision-making purposes. MRM partners with Risk and Finance professionals and works closely with model developers and users. Team members have opportunities for exposure to a variety of business and functional areas.

About the role - what you will be doing in our team:

Reporting to the Independent Model Validation (IMV) Manager, who will be your line manager and responsible for things like performance review meetings, 1-1s and development conversations, you will be responsible for:

- Reviewing models to ensure they are fit for purpose in accordance with Banking Group's MRM Policy and Standards documents.

- Conducting independent reviews across the model lifecycle including new developments, model changes, periodic validations, ongoing monitoring and implementation in respect to their design, calibration, validation, operation, usage, reporting, and governance.

- Conducting re-performance independent validation for material models including partial or complete recoding, development or building of challenger models, data profiling, model and variable selection, back-testing, stress testing.

- Applying quantitative and qualitative techniques to model validation, including challenger models or independent implementation of the model.

- Documenting validation findings, providing insight and evaluation of weaknesses and making recommendations for improvements.

- Presenting independent reviews to Model Governance Committee or Model Technical Forum.

- Keeping up to date on regulatory changes, quantitative techniques, and industry practices

- Benchmark particular model components such as parameter estimation methods or pricing models to justify against alternative approaches.

- Identifying key areas for business assistance and implementation of the Group models.

- Supporting a robust risk culture across the primary stakeholders and business.

About You - what we need you to bring to our team and business

Experience:

- Experience in modelling and/or validation for corporate, retail, wholesale banking portfolios with a financial services organization, consulting firm, or analytic solutions provider.

- Strong analytical skills with great attention to detail, strong control mindset with interest in investigating issues and developing solutions.

Technical knowledge:

- Hands-on experience in technical model development and implementation, model validation, and/or model oversight in one or more of the following areas: credit risk (retail and/or wholesale), PD/LGD/EAD estimations, IFRS9, operational risk, asset & liability management, Economic Capital, stress testing, sensitivities, time series modelling.

- Proficiency is SAS & Excel. Knowledge of other standard analytics software like R, Python and exposure to SAS Viya etc. would be desirable.

- Ability to conduct statistical analysis in a coding environment (e.g. SAS, Excel, R, Python).

Business Knowledge:

- Knowledge of banking business and associated risk management approaches sufficient to understand models in the context of the business.

Effective Communication:

- Ability to communicate and influence on sophisticated issues, verbally and in writing (including model documentation), across all key partner groups.

Drive and Delivery:

- Track record of effective delivery and overcoming challenges to deliver business results.

Integrity:

- Has ethics and integrity at the heart of every decision, and supports an environment that encourages high performance, openness, honesty and integrity.

Qualifications and Professional Memberships:

- A numerate graduate degree (Level 6) or above from any reputed University Essential

- Experience working in risk function either in model development or in model validation. Essential